Vendor Codes

Trading

Contract Specifications

Version
:
08 Dec 2017

Contract standards

Notional short-, medium- or long-term debt instruments issued by the Federal Republic of Germany, the Republic of Italy, the Republic of France, the Kingdom of Spain or the Swiss Confederation with remaining terms and a coupon of:

Contract

Product ID

Remaining term in years

Coupon in percent

Currency

Euro-Schatz Futures

FGBS

1.75 to 2.25

6

EUR

Euro-Bobl Futures

FGBM

4.5 to 5.5

6

EUR

Euro-Bund Futures

FGBL

8.5 to 10.5

6

EUR

Euro-Buxl? Futures

FGBX

24.0 to 35.0

4

EUR

Short-Term Euro-BTP Futures

FBTS

2.0 to 3.25

6

EUR

Mid-Term Euro-BTP Futures

FBTM

4.5 to 6.0

6

EUR

Long-Term Euro-BTP Futures

FBTP

8.5 to 11.0

6

EUR

Mid-Term Euro-OAT Futures

FOAM

4.5 to 5.5

6

EUR

Euro-OAT Futures

FOAT

8.5 to 10.5

6

EUR

Euro-BONO Futures

FBON

8.5 to 10.5

6

EUR

CONF Futures

CONF

8.0 to 13.0

6

CHF

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Contract values

EUR 100,000 or CHF 100,000.

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Settlement

A delivery obligation arising out of a short position may only be fulfilled by the delivery of certain debt securities issued by the Federal Republic of Germany, the Republic of Italy, the Republic of France, the Kingdom of Spain or the Swiss Confederation with a remaining term on the delivery day within the remaining term of the underlying. Settlement of debt securities issued by the Republic of Italy, the Republic of France and the Kingdom of Spain in case of physical delivery will be done via Clearstream Banking Luxemburg.

Debt securities issued by the Federal Republic of Germany must have an original term of no longer than 11 years (not valid for FGBX).

Debt securities issued by the Republic of Italy must have an original term of no longer than 16 years (not valid for FBTS).

Debt securities issued by the Republic of France must have an original term of no longer than 17 years.

Debt securities issued by the the Kingdom of Spain must have an original term of no longer than 20 years (as of September 2018: 15 years).

In the case of callable bonds issued by the Swiss Confederation, the first and the last call dates must be between eight and 13 years.

Debt securities must have a minimum issue amount of EUR 5 billion, such issued by the Republic of Italy and the Kingdom of Spain no later than ten exchange days prior to the last trading day of the current maturity month, otherwise, they shall not be deliverable until the delivery day of the current maturity month.

Debt securities issued by the Swiss Confederation must have a minimum issue amount of CHF 500 million.

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Price quotation and minimum price change

The price quotation is in percent of the par value.

Contract

Minimum price change

Percent

Value

Euro-Schatz Futures

0.005

EUR 5

Euro-Bobl Futures

0.01

EUR 10

Euro-Bund Futures

0.01

EUR 10

Euro-Buxl? Futures

0.02

EUR 20

Short-Term Euro-BTP Futures

0.01

EUR 10

Mid-Term Euro-BTP Futures

0.01

EUR 10

Long-Term Euro-BTP Futures

0.01

EUR 10

Mid-Term Euro-OAT Futures

0.01

EUR 10

Euro-OAT Futures

0.01

EUR 10

Euro-BONO Futures

0.01

EUR 10

CONF Futures

0.01

CHF 10

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Contract months

Up to 9 months:The three nearest quarterly months of the March, June, September and December cycle.

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Delivery day

The tenth calendar day of the respective quarterly month, if this day is an exchange day; otherwise, the exchange day immediately succeeding that day.

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Notification

Clearing members with open short positions must notify Eurex on the last trading day of the maturing futures which debt instrument they will deliver. Such notification must be given by the end of the Post-Trading Full Period.

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Last trading day

Two exchange days prior to the delivery day of the relevant maturity month. Close of trading in the maturing futures on the last trading day is at 12:30 CET.

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Daily settlement price

The daily settlement prices for the current maturity month of CONF Futures are determined during the closing auction of the respective futures contract.

For all other fixed income futures, the daily settlement price for the current maturity month is derived from the volume-weighted average of the prices of all transactions during the minute before 17:15 CET (reference point), provided that more than five trades transacted within this period.

For the remaining maturity months the daily settlement price for a contract is determined based on the average bid/ask spread of the combination order book.

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Final settlement price

The final settlement price is established by Eurex on the final settlement day at 12:30 CET based on the volume-weighted average price of all trades during the final minute of trading provided that more than ten trades occurred during this minute; otherwise the volume-weighted average price of the last ten trades of the day, provided that these are not older than 30 minutes. If such a price cannot be determined, or does not reasonably reflect the prevailing market conditions, Eurex will establish the final settlement price.

Block Trades

Admitted to the Eurex Block Trade Service with a Minimum Block Trade Size of 250 contracts.

Parameters

Maximum Spreads

Maximum Spread (ticks)

1.00

Mistrade Ranges

A deviation of the mistrade transaction price from the reference price shall be deemed significant if the price of the mistrade transaction deviates from the reference price more than 20 percent of the price change percentile for the corresponding futures contract, unless another regulation has been made for an individual product.

Crossing Parameters

(section 2.6 Eurex Trading Conditions)

(1) Orders and quotes relating to the same instrument or combined instrument may, in case they could immediately be executed against each other, neither be entered knowingly by an Exchange Participant (a cross trade) nor pursuant to a prior understanding by two different Exchange Participants (a pre-arranged trade), unless the conditions according to Paragraph 3 have been fulfilled. The same shall apply for the entry of orders as part of a quote.

(2) An Exchange Participant may submit a description of his internal and external links to the EDP system of Eurex Deutschland to the Market Surveillance Office of Eurex Deutschland with a view to a decision on whether the Exchange Participant acted knowingly within the meaning of Paragraph 1. The details of the specifications of the description of the IT linkage pursuant to Sentence 1 shall be determined by the Surveillance Office of Eurex Deutschland in agreement with the Management Board of Eurex Deutschland.

(3) A cross trade or a pre-arranged trade is admissible if a participant in a cross-trade or a pre-arranged trade, prior to entering his order or quote into the EDP system of Eurex Deutschland, announces his intention to execute a corresponding number of contracts as cross-trades or pre-arranged trades in the order book (“cross request”). The order or quote giving rise to the cross trade or pre-arranged trade must be entered one second at the earliest and 61 seconds at the latest with regard to Money Market Futures contracts, Fixed Income Futures contracts, options on Money Market Futures contracts and options on Fixed Income Futures contracts, respectively 31 seconds at the latest with regard to all other futures and option contracts after having entered the cross request. The purchasing Exchange Participant shall bear the responsibility for compliance with the content of the cross request entry. Entering a cross request without subsequently entering the respective order or quote is not admissible.

(4) Paragraphs 1 and 3 shall not apply to transactions consummated during the netting process in an auction (Number 1.4 Paragraphs 2 and Paragraph 3).

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